Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0083
Annualized Std Dev 0.0500
Annualized Sharpe (Rf=0%) 0.1661

Row

Daily Return Statistics

Close
Observations 3511.0000
NAs 1.0000
Minimum -0.0544
Quartile 1 -0.0014
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0015
Maximum 0.0422
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0031
Skewness -0.7516
Kurtosis 52.0855

Downside Risk

Close
Semi Deviation 0.0023
Gain Deviation 0.0023
Loss Deviation 0.0026
Downside Deviation (MAR=210%) 0.0088
Downside Deviation (Rf=0%) 0.0023
Downside Deviation (0%) 0.0023
Maximum Drawdown 0.1118
Historical VaR (95%) -0.0044
Historical ES (95%) -0.0069
Modified VaR (95%) -0.0025
Modified ES (95%) -0.0025
From Trough To Depth Length To Trough Recovery
2008-01-23 2008-10-10 2008-12-30 -0.1118 238 183 55
2012-07-26 2018-11-08 2020-01-31 -0.0922 1891 1584 307
2020-03-09 2020-03-12 2020-06-15 -0.0867 69 4 65
2020-08-07 2021-03-18 NA -0.0572 156 154 NA
2010-11-05 2011-02-10 2011-08-04 -0.0474 188 67 121

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA -0.2 -0.6 0.3 -0.5 0.1 -0.4 0.2 0 0.9 -0.2
2008 0 0.6 -1.4 -0.4 0.1 -0.5 -0.2 -0.1 -0.9 -0.1 0.2 0.1 -2.6
2009 0.1 0.1 -0.2 -0.5 -1 -0.4 0.4 -0.2 0.1 0.4 -0.4 -0.1 -1.7
2010 -0.4 -0.2 -0.3 0.3 -0.2 -0.2 0.1 -0.6 -0.4 -0.3 -0.9 0.3 -2.7
2011 -0.5 -0.3 -0.2 0.1 0.2 -0.2 0 0.2 0.4 0.5 -0.3 0.1 0
2012 -0.3 -0.4 -0.2 -0.4 0.1 -0.1 -0.3 0.4 -0.1 -0.2 -0.1 -0.1 -1.7
2013 -0.5 -0.1 -0.3 0 -0.2 0 -0.7 -0.1 -0.3 -0.5 0 0 -2.7
2014 0.1 -0.1 -0.3 0 -0.1 -0.4 0.1 0 0.2 -0.2 -0.3 0.1 -0.8
2015 0.5 0.1 0.2 -0.5 -0.5 -0.4 0.3 0 -0.1 0.2 0.2 0.2 0.1
2016 -0.4 -0.5 -0.1 0.1 -0.2 0.1 -0.5 -0.1 -0.1 -0.2 -0.6 0.2 -2.3
2017 -0.4 -0.6 0.1 -0.4 -0.2 -0.1 0 -0.4 0 -0.1 0.1 0.2 -1.9
2018 -0.5 0 0.3 -0.4 -0.4 0 -0.3 0 -0.4 -0.1 0 0.3 -1.5
2019 -0.5 -0.5 -0.6 -0.2 0.4 -0.2 0.5 0 -0.1 -0.3 0 -0.1 -1.8
2020 0.3 0.7 0.3 -0.2 -0.3 -0.2 0.1 0.1 -0.1 -0.2 -0.5 0.1 0.2
2021 -0.1 -0.3 0.1 NA NA NA NA NA NA NA NA NA -0.3

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart